Price Drops, Fluctuations, and Correlation in a Multi-Agent Model of Stock Markets

In this paper we compare market price fluctuations with the response to fundamental price drops within the Lux-Marchesi model which is able to reproduce the most important stylized facts of real market data. Major differences can be observed between the decay of spontaneous fluctuations and of changes due to external perturbations reflecting the absence of detailed balance, i.e., of the validity of the fluctuation-dissipation theorem. We found that fundamental price drops are followed by an overshoot with a rather robust characteristic time.Comment: 11 pages, 5 figures, 2 tables; submitted to Physica

Studies of the limit order book around large price changes

We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask imbalance, the number of queuing limit orders, the activity (number and volume) of limit orders placed and canceled, etc. The relaxation of the quantities is generally very slow that can be described by a power law of exponent $\approx0.4$. We introduce a numerical model in order to understand the empirical results better. We find that with a zero intelligence deposition model of the order flow the empirical results can be reproduced qualitatively. This suggests that the slow relaxations might not be results of agents' strategic behaviour. Studying the difference between the exponents found empirically and numerically helps us to better identify the role of strategic behaviour in the phenomena.Comment: 19 pages, 7 figure

Dephasing of Electrons in Mesoscopic Metal Wires

We have extracted the phase coherence time $\tau_{\phi}$ of electronic quasiparticles from the low field magnetoresistance of weakly disordered wires made of silver, copper and gold. In samples fabricated using our purest silver and gold sources, $\tau_{\phi}$ increases as $T^{-2/3}$ when the temperature $T$ is reduced, as predicted by the theory of electron-electron interactions in diffusive wires. In contrast, samples made of a silver source material of lesser purity or of copper exhibit an apparent saturation of $\tau_{\phi}$ starting between 0.1 and 1 K down to our base temperature of 40 mK. By implanting manganese impurities in silver wires, we show that even a minute concentration of magnetic impurities having a small Kondo temperature can lead to a quasi saturation of $\tau_{\phi}$ over a broad temperature range, while the resistance increase expected from the Kondo effect remains hidden by a large background. We also measured the conductance of Aharonov-Bohm rings fabricated using a very pure copper source and found that the amplitude of the $h/e$ conductance oscillations increases strongly with magnetic field. This set of experiments suggests that the frequently observed ``saturation'' of $\tau_{\phi}$ in weakly disordered metallic thin films can be attributed to spin-flip scattering from extremely dilute magnetic impurities, at a level undetectable by other means.Comment: 16 pages, 11 figures, to be published in Physical Review

Carrier relaxation, pseudogap, and superconducting gap in high-Tc cuprates: A Raman scattering study

We describe results of electronic Raman-scattering experiments in differently doped single crystals of Y-123 and Bi-2212. The comparison of AF insulating and metallic samples suggests that at least the low-energy part of the spectra originates predominantly from excitations of free carriers. We therefore propose an analysis of the data in terms of a memory function approach. Dynamical scattering rates and mass-enhancement factors for the carriers are obtained. In B2g symmetry the Raman data compare well to the results obtained from ordinary and optical transport. For underdoped materials the dc scattering rates in B1g symmetry become temperature independent and considerably larger than in B2g symmetry. This increasing anisotropy is accompanied by a loss of spectral weight in B2g symmetry in the range between the superconducting transition at Tc and a characteristic temperature T* of order room temperature which compares well with the pseudogap temperature found in other experiments. The energy range affected by the pseudogap is doping and temperature independent. The integrated spectral loss is approximately 25% in underdoped samples and becomes much weaker towards higher carrier concentration. In underdoped samples, superconductivity related features in the spectra can be observed only in B2g symmetry. The peak frequencies scale with Tc. We do not find a direct relation between the pseudogap and the superconducting gap.Comment: RevTeX, 21 pages, 24 gif figures. For PostScript with embedded eps figures, see http://www.wmi.badw-muenchen.de/~opel/k2.htm

Econophysics — complex correlations and trend switchings in financial time series

This article focuses on the analysis of financial time series and their correlations. A method is used for quantifying pattern based correlations of a time series. With this methodology, evidence is found that typical behavioral patterns of financial market participants manifest over short time scales, i.e., that reactions to given price patterns are not entirely random, but that similar price patterns also cause similar reactions. Based on the investigation of the complex correlations in financial time series, the question arises, which properties change when switching from a positive trend to a negative trend. An empirical quantification by rescaling provides the result that new price extrema coincide with a significant increase in transaction volume and a significant decrease in the length of corresponding time intervals between transactions. These findings are independent of the time scale over 9 orders of magnitude, and they exhibit characteristics which one can also find in other complex systems in nature (and in physical systems in particular). These properties are independent of the markets analyzed. Trends that exist only for a few seconds show the same characteristics as trends on time scales of several months. Thus, it is possible to study financial bubbles and their collapses in more detail, because trend switching processes occur with higher frequency on small time scales. In addition, a Monte Carlo based simulation of financial markets is analyzed and extended in order to reproduce empirical features and to gain insight into their causes. These causes include both financial market microstructure and the risk aversion of market participants

Infrared and electronic Raman response of coexisting d-wave density wave and d-wave superconductivity

We present mean-field calculations for the in-plane optical conductivity, the superfluid density, and the electronic Raman susceptibility in quasi two-dimensional systems possessing a ground state with two competing order parameters: d-wave density wave (dDW) and d-wave superconductor (dSC). In the coexisting dDW+dSC phase we calculate the frequency dependence of these correlation functions in the presence of impurity scattering in the unitary limit, relevant to zinc-doped cuprate superconductors